Illinois Journal of Mathematics

Asymptotic behavior for the free boundary of parabolic variational inequalities and applications to sequential analysis

Avner Friedman

Full-text: Open access

Abstract

We consider a solution of a parabolic variational inequality in one space variable. The obstacle is the minimum of two functions, and the inhomogeneous term has a singularity as $t \downarrow 0$. It is shown that the free boundary consists of two curves initiating at a point on $t=0$; their behavior as $t \downarrow 0$ is studied. An application is given to problems in sequential analysis with two or three hypotheses.

Article information

Source
Illinois J. Math., Volume 26, Issue 4 (1982), 653-697.

Dates
First available in Project Euclid: 20 October 2009

Permanent link to this document
https://projecteuclid.org/euclid.ijm/1256046603

Digital Object Identifier
doi:10.1215/ijm/1256046603

Mathematical Reviews number (MathSciNet)
MR674232

Subjects
Primary: 35K85: Linear parabolic unilateral problems and linear parabolic variational inequalities [See also 35R35, 49J40]
Secondary: 49A29 93E20: Optimal stochastic control

Citation

Friedman, Avner. Asymptotic behavior for the free boundary of parabolic variational inequalities and applications to sequential analysis. Illinois J. Math. 26 (1982), no. 4, 653--697. doi:10.1215/ijm/1256046603. https://projecteuclid.org/euclid.ijm/1256046603


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